I don't, but I know I would be better off keeping in the closet most of the time. Why you ask? Here's an example. Once I was listening to the .hack//roots soundtrack with headphones on, and some random girl asked me what I was listening to. I told her, and that ended the conversation.

I would never lie if someone asked me if I liked anime, but it can be a good idea to not just come out and tell people on your own.